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Optimal portfolio investment in a dynamic horizon - MaRDI portal

Optimal portfolio investment in a dynamic horizon

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Publication:3657718

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DOI10.1080/00207728308926497zbMath0512.90012OpenAlexW4244228480MaRDI QIDQ3657718

Jati K. Sengupta

Publication date: 1983

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728308926497

zbMATH Keywords

finance mean-variance analysis optimal portfolio investment probabilistic constraints linear decision rules dynamic horizon risk sensitivity over time

Mathematics Subject Classification ID

Operations research and management science (90B99)

Cites Work

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